An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes (Q875905)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes |
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An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes (English)
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16 April 2007
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The author develops an explicit non-randomized solution to the Skorokhod embedding problem in an abstract setup of signed functionals of excursions of Markov processes. The present setting allows us to solve the Skorokhod embedding problem, in particular, for the age process of excursions of Markov processes, for diffusions and their signed age processes, for Azema's martingale and for Bessel processes of dimension smaller than 2.
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Skorokhod embedding problem
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Excursion theory
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Functional of excursion
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Azema-Yor stopping time
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Vallois stopping time
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Age process
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Bessel process
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Cox-Ingersoll-Ross process
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